Realized Volatility

This is a free spreadsheet that downloads free historical stock data from the Yahoo database into the spreadsheet and calculates the historical or realized volatility of the selected stock. The standard deviation of prices are plotted along side the stock price chart. The user can freely change...

This code optimises the parameters for the term structure of volatility (TSOV) applied to historical forward curves - see discussion in Harris in reference 1 below. TSOVs avaible are: TermType - 1 = sigma = A exp (-CT) - 2 = sigma = A exp (-CT) + D - 3 = sigma = (A + BT) exp (-CT) + DRequired...

It connects and retrieves data from the Yahoo! finance service.The program uses daily closing prices in the calculations.If not specified, the program defaults to N=20 previous trading days.The user may supply either a single ticker symbol or a cell array of ticker symbols.Using the supplied N,...


Platforms: Matlab

The Toolbox forecasts the volatility of a (mxn) vector of data and from a variety of in-built / non-in-built GARCH models with various distributions, as well as the univariate RiskMetrics. The toolbox also estimates a number of Volatility Forecast Loss Functions and if selected Value-at-Risk for...


Platforms: Matlab

The self-contained script demonstrates excess, volatility driven growth, in a rebalanced portfolio.Based on the paper "Benchmarking and Rebalancing" by Gabay and Herlemont, yats.com, 19 Septembre 2007, this script reproduces example 1, showing the long-term rebalancing excess growth rate g*.There...


Platforms: Matlab

This toolbox estimates the following volatility loss functions:1. Mean Square Error, MSE2. Mean Absolute Deviation, MAD3. Mean Logarithm of Absolute Errors, MLAE4. Heteroskedasticity-adjusted Mean Square Error, HMSE5. Heteroskedasticity-adjusted Mean Absolute Error, HMAE6. Median Absolute Error,...


Platforms: Matlab

Recently needed to see the effects of a CIC decimating filter but realized that with my new license of Matlab, I did not have access to the Filter Design Toolbox. This is a quick attempt at a simulation to re-create the effects of CIC-decimation but without the fixed-point access to the...


Platforms: Matlab

This GUI uses a constant relative volatility (alpha) to estimate the equilibrium curve. From there, the GUI uses the "McCabe and Thiele Graphical Method" to estimate the ideal number of plates in the column.A reference is provided in the GUI: look in Help/About.Comments, suggestions or bugs,...


Platforms: Matlab

[DIMENSION STANDARD_DEV] = fractalvol(DATA) calculates the fractal dimension of the 1 dimensional random walk, DATA. DATA is assumed to be a function of its indices. Finds fractal volatility by embedding in the unit square and box counting. Y axis will be rescaled values of DATA, x axis is...


Platforms: Matlab

This paper outlines a methodology for calibrating the Schwartz-Smith two factor commodity pricing model across multiple commodities such that on the valuation date:1. The calibration produces simulations that are consistent with the current forward curve term structure2. The calibration produces...


Platforms: Matlab

MCTH Number of Theoretical Plates by McCabe-Thiele method for distillation towers of binary mixtures - Interactive changes using McCabe-Thiele diagram - Full printable reports - Vapor equilibrium using relative volatility or VLE data table - 47 VLE data tables included - Easy and fast...


Platforms: Windows, Windows 7

The Derivicom FinOptions XL analytics library is a comprehensive suite of functions with extensive cross asset derivative coverage for the financial professional. Built to support the demand of today's financial markets, FinOptions XL gives you the ultimate in accuracy and flexibility to handle...


Platforms: Windows, Windows 8, Windows 7, Windows Server

Do you often need to update the software (flash image) on your network devices? How often to you need to make reserve copies of your routers? Network administrators know that to cope with everyday routine they need a reliable and secure TFTP server. WinAgents TFTP Service has been specially...


Platforms: Windows

Advanced option calculator - powerful and unique tool for option traders. Major features: calculates the fair value of put and call options; calculate implied volatility; calculate greeks (Delta, Vega, Gamma, Theta); plots Profit & Loss graph of option position; calculates probability of the...


Platforms: Windows

Probably you had to be engaged in joint projects with someone. In programming, web design or other computer area. Working over the project, you for certain noticed the unpleasant tendency having kept files in any directory on flash you gave to your partner for the further completion. Naturally...


Platforms: Windows

Power Taango has realized "true mobile office" on any removable medium.Users can really carry entire working environment on very slim and light USB disks, and Power Taango will "emulate/rebuild" the original environment in any PC running WinXP.This will revolutionize the concept of ?tmobile...


Platforms: Windows

Option Calculator - calculates the value of put and call options (The Black-Scholes Option Pricing Model), calculates implied volatility and greeks (Delta, Vega, Gamma, Theta). You can see graph of option position (buy call or buy put).


Platforms: Windows

Option Calculator - calculates the value of put and call options (The Black-Scholes Option Pricing Model), calculates implied volatility and greeks (Delta, Vega, Gamma, Theta). You can see graph of option position (buy call or buy put).


Platforms: Windows

Object::Realize::Later is a Perl module with delayed creation of objects. SYNOPSIS package MyLazyObject; use Object::Realize::Later becomes => MyRealObject, realize => load; The Object::Realize::Later class helps with implementing transparent on demand realization of object data. This...


Platforms: *nix

Rails Live CD project was born on Ezra Zygmuntowicz blog and realized with help from Brian Ketelsen. Rails Live CD is based on PCLinuxOS which is a great Linux distribution for creating LiveCDs. More information at PCLinusOS.com To use it, just download, burn and reboot! Or if you have a...


Platforms: *nix